R/giniCoef.R

In stephlocke/optiRum: Financial Functions & More

#' Produce a gini coefficient
#'
#' This function calculates a Gini coefficient based on a Receiver Operator Curve.
#'
#' @param pred Logit/scores/probabilities to be compared against actuals
#' @param act This should be a column containing outcomes in a boolean form either as a factor or number
#' 
#' @return gini The coefficient
#' 
#' @keywords gini roc AUROC 
#' @seealso \code{AUC} \code{roc} \code{\link{giniChart}}
#' @family creditrisk
#' @export
#' 
#' @examples 
#'   sampledata<- data.frame(val= rnorm(100) , outcome=rbinom(100,1,.8))
#'   giniCoef(sampledata$val,sampledata$outcome)
#'   

giniCoef <- function(pred, act) {
    stopifnot(is.numeric(pred), nlevels(factor(act)) <= 2)
    act <- factor(act)
    data <- roc(pred, act)
    
    return(2 * (auc(data) - 0.5))
}